Español ES
Ver en GitHub

Estrategia de Trampa de Volumen por Captura de Liquidez

Esta estrategia espera una captura de liquidez bajista en volumen plano que forma una brecha de valor razonable. Cuando el precio cierra por encima de la parte superior de la brecha mientras el volumen se mantiene cerca de su media móvil, coloca una orden limitada de compra en la parte inferior de la brecha con stop loss y take profit simétricos.

Detalles

  • Condición de entrada: Close[2] < Open[1] && Close > High[1] && ruptura bajista con volumen plano
  • Criterios de salida: stop loss a la altura de la brecha por debajo del fondo, take profit en High[1]
  • Tipo: Reversión
  • Indicadores: SMA de Volumen
  • Marco temporal: 1 minuto (predeterminado)
using System;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Liquidity Grab Strategy (Volume Trap).
/// Detects liquidity grabs where price sweeps beyond recent range
/// then reverses back, indicating a trap.
/// </summary>
public class LiquidityGrabVolumeTrapStrategy : Strategy
{
	private readonly StrategyParam<int> _lookback;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private Highest _highest;
	private Lowest _lowest;
	private int _barsSinceSignal;
	private decimal _prevHigh;
	private decimal _prevLow;

	public int Lookback
	{
		get => _lookback.Value;
		set => _lookback.Value = value;
	}

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	public LiquidityGrabVolumeTrapStrategy()
	{
		_lookback = Param(nameof(Lookback), 10)
			.SetDisplay("Lookback", "Bars for range", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candles for calculations", "General");

		_cooldownBars = Param(nameof(CooldownBars), 50)
			.SetDisplay("Cooldown Bars", "Min bars between signals", "General");
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_highest = new Highest { Length = Lookback };
		_lowest = new Lowest { Length = Lookback };
		_barsSinceSignal = 0;
		_prevHigh = 0;
		_prevLow = 0;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_highest, _lowest, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_highest = null;
		_lowest = null;
		_barsSinceSignal = 0;
		_prevHigh = 0;
		_prevLow = 0;
	}

	private void ProcessCandle(ICandleMessage candle, decimal highVal, decimal lowVal)
	{
		if (candle.State != CandleStates.Finished)
			return;

		_barsSinceSignal++;

		if (!_highest.IsFormed || !_lowest.IsFormed)
		{
			_prevHigh = highVal;
			_prevLow = lowVal;
			return;
		}

		// Use previous bar's range values
		var rangeHigh = _prevHigh;
		var rangeLow = _prevLow;

		// Update previous values for next bar
		_prevHigh = highVal;
		_prevLow = lowVal;

		// Bullish grab: wick swept below prior range low but closed back inside
		var bullGrab = candle.LowPrice < rangeLow && candle.ClosePrice > rangeLow;

		// Bearish grab: wick swept above prior range high but closed back inside
		var bearGrab = candle.HighPrice > rangeHigh && candle.ClosePrice < rangeHigh;

		// Cooldown check
		if (_barsSinceSignal < CooldownBars)
			return;

		if (bullGrab && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_barsSinceSignal = 0;
		}
		else if (bearGrab && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_barsSinceSignal = 0;
		}
	}
}